90 day T-bill

Discussion in 'Trading' started by nfactorial, Jun 6, 2011.

  1. Hi,

    Do I need to commit my money for 90 days in order to get the 90 day t-bill rate?
    What happens if I want out after 30 days?

  2. No, you can buy and sell bills (obviously, if your broker allows this)... Just be aware of the bid/offer.
  3. The actual rate you'll get will be determined by the difference between your entry and exit prices.

    To be certain of getting the 90 day t-bill rate, you'll need to hold for the 90 days. Holding for less will mean you can't be certain of the rate; it may be more, or may be less ... this will depend soley on the price you get when you exit.
  4. I understand.

    I'm backtesting a market timing strategy back to the 1970's where in a given month I either hold a security or stay in cash.

    Can I assume the the return on cash will be the closest 90 day t-bill rate? Or should I assume the rate times 2/3 or 1/2?

    The 30 day t-bill rates data doesn't go back far enough.
  5. It's fair to assume you get the current t-bill yield (obv, that's always quoted on an annualized basis).
  6. nLepwa


    I used 2/3 of 90 t-bill rates before.
    It gives you a safety margin for commissions too.